The Handbook of Nonagency Mortgage-Backed Securities

by Fabozzi, Frank J.; Ramsey, Chuck; Marz, Michael

• ISBN13: 9781883249687
• ISBN10: 1883249686
• Edition: 2nd
• Format: Hardcover
• Copyright: 2000-02-15
• Publisher: Wiley

Summary

Frank Fabozzi and Chuck Ramsey update their treatise on nonagency mortgage backed securities in this third edition of The Handbook of Nonagency Mortgage Backed Securities. Focused on an important investing area that continues to grow, this book provides comprehensive coverage of all aspects of this specialized market sector, including the mortgage-related asset-backed securities market and commercial mortgage-backed securities. There is information on raw products, such as jumbo loans, alternative A mortgages, and 125 LTV mortgages, as well as structured products, analytical techniques, prepayment characteristics, and credit issues. This fast-growing segment also includes nonagency pass through, nonagency collateralized mortgage obligations, home loan equity-backed securities, and manufacture housing loan backed securities.

Author Biography

Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University’s School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.

Table of Contents

Contributing Authors	v
SECTION I: Residential Real Estate-Backed Securities	1	(2)
Part A: Products and Their Structure	3	(178)
The Nonagency Mortage Market: Background and Overview	5	(34)
Eric Bruskin
Anthony B. Sanders
David Sykes
Understanding Shifting Interest Subordination	39	(16)
Manus J. Clancy
Michael Constantino
Understanding Compensating Interest	55	(10)
Laurie Goodman
Thomas Zimmerman
RALI Alternative-A Mortgages	65	(14)
Steve Banerjee
Errol Mustafa
Home Equity Loans	79	(20)
Charles Schorin
Steven Weinreich
Oliver Hsiang
Home Equity Loan Transaction Structures	99	(16)
Charles Schorin
Steven Weinreich
Oliver Hsiang
Home Equity Line of Credit (HELOC) Securitizations	115	(12)
W. Alexander Roever
John N. McElravey
Glenn M. Schultz
Securitization of 125 LTV Mortgages	127	(16)
Hedi T. Katz
Glenn T. Costello
Manufactured Housing: Overview, Securitization, and Prepayments	143	(16)
Steven Abrahams
Howard Esaki
Robert Restrick
Securities Backed by CRA Loans	159	(12)
Dale Westhoff
V. S. Srinivasan
Single Family Mortgage Revenue Bonds	171	(10)
Michael Marz
Frank J. Fabozzi
Part B: Credit Analysis	181	(64)
The Default and Loss Experience of Nonagency MBS	183	(8)
Thomas Gillis
The Rating Agencies' Approach	191	(18)
Douglas L. Bendt
Chuck Ramsey
Frank J. Fabozzi
The Evaluation of Excess Spread in Sub-Prime Transactions	209	(10)
Abner Figueroa
A Credit Intensive Approach to Analyzing Whole Loan CMOs	219	(18)
Edward L. Toy
Risk-Based Pricing Nonagency Mortgages and Securities	237	(8)
Frank Raiter
Part C: Prepayment Analysis and Valuation Modeling	245	(130)
The Next Generation of Prepayment Models to Value Nonagency MBS	247	(46)
Dale Westhoff
V. S. Srinivasan
Prepayment Modeling and Valuation of Home Equity Loan Securities	293	(30)
Dale Westhoff
Mark Feldman
Identifying Relative Value in Home Equity Loan and Manufactured Housing Securities Using OAS Analysis	323	(14)
Akiva Dickstein
Home Equity Loan Prepayment Model and OAS Implications	337	(18)
Charles Schorin
Steven Weinreich
Oliver Hsiang
A Risk-Return Framework for Evaluating Non-Investment-Grade Subordinated MBS	355	(12)
Laurie Goodman
Linda Lowell
Prepayments on Jumbo Loans	367	(8)
Laurie Goodman
SECTION II: Commercial Mortgage-Backed Securities	375	(122)
Introduction to Commercial Mortgage-Backed Securities	377	(34)
Brian P. Lancaster
Understanding Prepayments in CMBS Deals	411	(14)
Da Cheng
Adrian R. Cooper
Jason Huang
Credit-Driven Prepayment and Default Analysis	425	(10)
Michael A. Ervolini
Harold J. A. Haig
Michael A. Megliola
An Empirical Framework for Estimating CMBS Defaults	435	(8)
Dale Westhoff
V. S. Srinivasan
Mark Feldman
Valuing the Prepayment and Credit Risks of Commercial Mortgage Securities	443	(22)
Michael Youngblood
An Options Approach to Commercial Mortagages and CMBS Valuation and Risk Analysis	465	(32)
David P. Jacob
Ted C. H. Hong
Laurence H. Lee
Index	497